A New Class of Distributions Based on Hurwitz Zeta Function with Applications for Risk Management

Zinoviy Landsman, Udi Makov, Tomer Shushi

Research output: Contribution to journalArticlepeer-review

Abstract

This paper constructs a new family of distributions, which is based on the Hurwitz zeta function, which includes novel distributions as well important known distributions such as the normal, gamma, Weibull, Maxwell-Boltzmann and the exponential power distributions. We provide the n-th moment, the Esscher transform and premium and the tail conditional moments for this family.
Original languageEnglish
JournalThe Open Statistics & Probability Journal
Volume7
DOIs
StatePublished - 1 Jan 2015

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